第五章-JOHN-HULL-期权与期货市场基本原理第七版

Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
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Short Selling (Page 104-105)
Short selling involves selling securities you do not own
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Short Selling
(continued)
At some stage you must buy the securities back so they can be replaced in the account of the client
You must pay dividends and other benefits the owner of the securities receives
Is there an arbitrage opportunity?
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
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The Futures Price of Gold
Investment assets are assets held by significant numbers of people purely for investmwenku.baidu.comnt purposes (Examples: gold, silver)
Consumption assets are assets held primarily for consumption (Examples: copper, oil)
If the spot price of gold is S & the futures price is for a contract deliverable in T years is F, then
F = S (1+r )T
where r is the 1-year (domestic currency) riskfree rate of interest.
Determination of Forward and Futures Prices
Chapter 5
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
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Consumption vs Investment Assets
In our examples, S=1000, T=1, and r=0.05 so that
F = 1000(1+0.05) = 1050
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$1100 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold
Suppose that: The spot price of gold is US$1000 The quoted 1-year futures price of gold is US$990 The 1-year US$ interest rate is 5% per annum No income or storage costs for gold
r: Risk-free interest rate for maturity T
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
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1. Gold: An Arbitrage Opportunity?
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
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Notation
S0: Spot price today F0: Futures or forward price today T: Time until delivery date
Your broker borrows the securities from another client and sells them in the market in the usual way
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
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When Interest Rates are Measured with Continuous Compounding
F0 = S0erT
This equation relates the forward price and the spot price for any investment asset that provides no income and has no storage costs
Is there an arbitrage opportunity?
Fundamentals of Futures and Options Markets, 7th Ed, Ch 5, Copyright © John C. Hull 2010
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2. Gold: Another Arbitrage Opportunity?